This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized … to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized … to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …

failing mechanism. I show that, as in the crisis, when collateral risk increases unexpectedly, the haircut and interest rate …

sharing ; home bias ; securitization ; mortgage markets ; asset prices ; international business cycles …We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption …